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Further Notable Trimming Of BAX Inversion

CANADA
  • BAX futures are on track for another day of sizeable trimming of inversion.
  • The front Mar’23 plus the Jun’23 are little changed, consistent with the BoC looking for an accumulation of evidence whilst likely pausing in the near-term.
  • Implied yields push higher further out though, with Dec’23 +3bps and yields through 1H24 +6bps, notably in contrast to -4.5bps and -6bps for respective SOFR contracts in the US after softer than expected data.
  • BAH3/Z3 at -0.605 has now tightened more than 30bps since the Jan 18 close of -0.910.

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